A panel bootstrap cointegration test

DOI10.1016/J.ECONLET.2007.03.003MaRDI QIDQ1934171zbMATH OpenOpenAlexFDO

Authors Joakim Westerlund, David L. Edgerton

Publication date 28 January 2013

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2007.03.003

zbMATH Keywords

cross-sectional dependencesieve bootstrappanel cointegration test

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Bootstrap, jackknife and other resampling methods (62F40) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Recommendations

• Bootstrap tests for time varying cointegration
• Stationary bootstrapping for panel cointegration tests under cross-sectional dependence
• Panel cointegration testing in the presence of a time trend
• Bootstrap unit root tests in panels with cross-sectional dependency
• A sieve bootstrap test for cointegration in a conditional error correction model
• The power of bootstrap based tests for parameters in cointegrating regressions
• New Simple Tests for Panel Cointegration
• Bootstrapping cointegrating regressions

Cites work

• scientific article; zbMATH DE number 2199188 (Why is no real title available?)
• A Sieve Bootstrap For The Test Of A Unit Root
• A residual-based test of the null of cointegration in panel data
• Bootstrap Unit Root Tests
• Bootstrap unit root tests in panels with cross-sectional dependency
• On bootstrap inference in cointegrating regressions
• Reducing the size distortions of the panel LM test for cointegration

Cited in

(17)

• Insurance and real output: the key role of banking activities
• Stationary bootstrapping for panel cointegration tests under cross-sectional dependence
• Micro versus macro cointegration in heterogeneous panels
• A sieve bootstrap test for cointegration in a conditional error correction model
• Panel cointegration testing in the presence of a time trend
• New Simple Tests for Panel Cointegration
• Currency misalignments in the BRIICS countries: fixed vs. floating exchange rates
• Bootstrap sequential tests to determine the order of integration of individual units in a time series panel
• FDI inflows-economic globalization nexus in ASEAN countries: the panel bootstrap causality test based on wavelet decomposition
• A simple sieve bootstrap range test for poolability in dependent cointegrated panels
• Some cautions on the use of panel methods for integrated series of macroeconomic data
• Reducing the size distortions of the panel LM test for cointegration
• The Prebish-Singer hypothesis in the post-colonial era: evidence from panel cointegration
• Small sample testing for cointegration using the bootstrap approach
• Small sample improvements in the threshold cointegration test using residual-based moving block bootstrap
• A Meta Analytic Approach to Testing for Panel Cointegration
• Cross-sectional correlation robust tests for panel cointegration

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